There is no direct method to change the environment variables nor any way to change the environment variables used by PxPlus from within your session.
When any process starts on any OS, it is passed a list of environment variables. It can change this list for any process that it starts, but its environment variable list is basically fixed. Changing the environment list is done by simply passing a new modified list to whatever processes you spawn.
PxPlus itself does not offer the ability to change the list of environment variables it passes to spawned processes, however you could spawn a process which would change the environment list and pass this new/modified list to a process that it spawns.